Pricing Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rates
Date Issued
2009
Date
2009
Author(s)
Lin, Szu-Yu
Abstract
In the research, we deal with the guaranteed minimum withdrawal benefits (GMWB). First, under the Milevsky and Salisbury (2006) assumptions, we discuss the price of the GMWB with fixed rate when the equity process follows lognormal distribution or jump-diffusion process. Then we discuss pricing with stochastic interest rate. Here we assume the interest rate process follows the LIBOR Market Model, also called the BGM model. Numerical experiments show the differences between fixed rate and stochastic rate with Monte Carlo simulation.
Subjects
GMWB, Milevsky and Salisbury
stochastic interest rates
BGM model
Monte Carlo simulation.
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-98-R96723061-1.pdf
Size
23.32 KB
Format
Adobe PDF
Checksum
(MD5):326ae63191effd65b15a926d5f05ea4e